bsmtermoperator.hpp

Langue: en

Autres versions - même langue

Version: 377200 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/methods/finitedifferences/bsmtermoperator.hpp -

differential operator for Black-Scholes-Merton equation

SYNOPSIS


#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/transformedgrid.hpp>
#include <ql/methods/finitedifferences/pdebsm.hpp>

Typedefs


typedef PdeOperator< PdeBSM > BSMTermOperator
Black-Scholes-Merton differential operator.

Detailed Description

differential operator for Black-Scholes-Merton equation

Author

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